A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes

DOI10.1016/j.camwa.2017.06.039zbMath1394.60033OpenAlexW2736008600MaRDI QIDQ1668539

Jorge Eduardo Macías-Díaz, José Villa Morales

Publication date: 29 August 2018

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.06.039

zbMATH Keywords

implicit finite-difference schemestructure-preserving numerical methodstability and convergence analysesapplied stochastic processesadvection-diffusion partial differential equationsdistribution of first-hitting time

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

On the first-passage times of certain Gaussian processes, and related asymptotics, A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution

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